SPXS Options History — July 2016

In July 2016, SPXS traded between $6220.00 and $7065.00. ATM implied volatility averaged 33.9%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 16.0% (HV 20d: 49.9%). Max pain ranged from $6000.00 to $7000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-07-08: Highest Volume — 22 contracts
  • 2016-07-21: Largest IV spike — 39.9% change
  • 2016-07-12: Highest IV Rank — 15.0%
  • 2016-07-07: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6467.75$6220.00$7065.00$6905.00$6220.00
Max Pain$6225.00$6000.00$7000.00$7000.00$6000.00
ATM IV33.9%25.7%38.4%37.4%28.0%
Expected Move10.0%7.4%12.3%10.7%8.0%
HV 20d49.9%24.1%58.0%54.7%24.1%
HV 60d38.9%37.9%39.4%38.3%37.9%
IV Rank9.2%0.0%15.0%11.6%2.8%
IV Percentile11.4%0.0%24.6%17.5%1.6%
Term Structure4.1%1.0%8.2%4.6%1.0%
VWIV35.5%27.0%43.9%35.8%30.0%
Skew 25d-12.8%-22.5%-9.3%-9.8%-10.1%
Skew 10d-24.4%-38.3%-9.8%-20.4%-19.1%
Call IV 25d42.4%36.4%53.7%41.5%36.4%
Put IV 25d29.6%24.7%34.6%31.7%26.3%
Bid-Ask Spread %55.7210.6690.2989.0363.53
Gamma HHI0.280.180.440.360.23
Net GEX1.0M528.6K1.8M1.5M678.8K
Net DEX-2.6M-15.7M8.5M-12.3M2.4M
Net VEX-193.4K-231.6K-169.4K-231.6K-169.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.291.320.370.61
Total Volume13.758221613
Total OI211.15168260226191

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$6905.00$7000.0037.4%10.7%54.7%11.6%35.8%-9.8%4.6%1.5M-12.3M-231.6K0.3789.03N/AN/A12416858
2016-07-05$7065.00$6500.0037.3%12.0%55.1%11.4%43.7%-19.7%5.7%1.8M-15.7M-215.6K0.3081.94N/AN/A13417358
2016-07-06$6940.00$6500.0038.3%11.7%55.5%12.6%42.0%-16.5%4.9%1.8M-15.1M-221.2K0.4088.85N/AN/A12517558
2016-07-07$6965.00$6500.0036.2%12.3%55.4%10.1%43.9%-22.5%3.6%1.8M-10.5M-201.6K0.7888.18N/AN/A7517458
2016-07-08$6635.00$6500.0025.7%9.5%58.0%0.0%38.1%-17.6%5.4%1.3M-1.2M-198.0K0.4390.29N/AN/A15717659
2016-07-11$6560.00$6500.0030.7%9.9%57.0%6.0%35.4%-13.3%4.7%1.2M3.6M-180.3K0.5240.91N/AN/A11618458
2016-07-12$6435.00$6500.0038.4%10.1%56.1%15.0%35.9%-10.3%8.2%982.4K2.0M-190.8K0.6784.22N/AN/A10718858
2016-07-13$6425.00$6500.0035.6%10.2%56.0%11.7%35.7%-12.1%6.5%1.3M1.5M-202.9K0.7744.88N/AN/A9719358
2016-07-14$6315.00$6000.0035.5%10.2%55.9%11.6%36.8%-11.5%5.8%1.0M4.3M-186.0K0.3826.75N/AN/A11419759
2016-07-15$6350.00$6000.0034.6%9.9%56.1%10.5%37.4%-9.4%5.3%528.6K8.5M-171.5K0.3228.21N/AN/A15520159
2016-07-18$6300.00$6000.0034.9%10.0%55.7%10.8%33.1%-10.7%1.3%586.0K-2.8M-193.6K0.6773.98N/AN/A6411850
2016-07-19$6340.00$6000.0034.8%10.0%55.8%10.8%35.6%-10.3%2.6%603.2K-50.6K-180.0K0.6712.85N/AN/A5312251
2016-07-20$6235.00$6000.0025.8%7.4%55.9%0.1%32.0%-13.8%6.9%640.3K-4.3M-199.7K0.2913.46N/AN/A11312451
2016-07-21$6310.00$6000.0036.0%10.3%56.2%12.2%34.6%-12.5%4.9%660.1K-2.3M-190.1K0.4632.75N/AN/A7312651
2016-07-22$6235.00$6000.0026.6%7.6%55.3%1.1%32.5%-11.7%2.5%666.3K1.6M-170.4K0.7171.51N/AN/A5412851
2016-07-25$6290.00$6000.0036.5%10.5%43.1%12.7%34.7%-13.6%2.6%722.2K-3.3M-193.2K0.7610.66N/AN/A7513052
2016-07-26$6280.00$6000.0038.1%10.9%34.2%14.6%33.1%-11.5%1.6%704.4K-1.8M-186.2K1.3215.75N/AN/A5713154
2016-07-27$6295.00$6000.0033.0%9.5%30.9%8.7%32.3%-9.3%3.2%727.6K-4.1M-200.8K0.8467.91N/AN/A5413357
2016-07-28$6255.00$6000.0034.6%9.9%26.6%10.5%27.0%-10.0%1.1%728.8K-2.0M-184.6K0.7888.73N/AN/A5413457
2016-07-29$6220.00$6000.0028.0%8.0%24.1%2.8%30.0%-10.1%1.0%678.8K2.4M-169.4K0.6163.53N/AN/A8513457